Given the following holding-period returns, compute the average returns and standard deviation for Sugita Corp and for the the market portfolio. Month 1 2 3 4 5 6 Given Sugita Corp. 1.8% -0.5% 2% -2% 5% 5% a. 1.25%, 2.59% for Sugita and 1.88%, 1.95% for Market b. 1.88%, 2.59% for Sugita and 1.25%, 1.95% for Market c.1.95%, 2.59% for Sugita and 1.88%, 1.95% for Market d.1.88%, 1.95% for Sugita and 2.59%, 1.95% for Market O a.. O b.. Oc.. d.. Market 1.50% 1.00% 0.00% -2.00% 4.00% 3.00%

Given the following holding-period returns, compute the average returns and standard deviation for Sugita Corp and for the the market portfolio. Month 1 2 3 4 5 6 Given Sugita Corp. 1.8% -0.5% 2% -2% 5% 5% a. 1.25%, 2.59% for Sugita and 1.88%, 1.95% for Market b. 1.88%, 2.59% for Sugita and 1.25%, 1.95% for Market c.1.95%, 2.59% for Sugita and 1.88%, 1.95% for Market d.1.88%, 1.95% for Sugita and 2.59%, 1.95% for Market O a.. O b.. Oc.. d.. Market 1.50% 1.00% 0.00% -2.00% 4.00% 3.00%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Colonel Motors (C) Separated Edison (S) Expected Return 10% 8% Standard Deviation 6% 3% Please represent graphically all potential combinations of stocks C and S, if the correlation coefficient between the returns of stocks C and S is: A) 1 B) 0 C) -1 Please report these investment opportunity sets in the corresponding Excel sheets.
Use the following information to calculate the expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Incorporated, and 40 percent invested in Down Company: Note: Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Expected return, E(R) Standard deviation, o Correlation Expected return Standard deviation 3 Doors, Incorporated 16% 46 0.31 2.00% 2.00% Down Company 24% 48
Ef 579.
Consider the following returns of Stock 1 and Stock 2: Stock 1 Stock 2 Realized Realized Year End Return Return 2004 20.1% -14.6% 2005 72.7% 4.3% 2006 -25.7% -58.1% 2007 56.9% 71.1% 2008 6.7% 17.3% 2009 17.9% 0.9% Suppose you have a portfolio that is made up of 70% investments in Stock 1 and 30% investments in Stock 2. Compute: 1) Average annual return of the portfolio from 2004 to 2009; 2) Variance of the portfolio; 3) Standard deviation of the portfolio.
The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Incorporated, and 40 percent invested in Down Company are the following: Expected return, E(R) Standard deviation, o 3 Doors, Down Incorporated Company 10% 33 Correlation +1 Correlation 0 Correlation-1 What is the standard deviation if the correlation is +1? 0? -1? Note: Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. 11% 44 Standard Deviation % % %
Compute the annual tracking error from the following information: Quarter Portfolio B's 1 2 3 4 O 1.06% O 2.12% O 3.67% O 4.25% O None Portfolio A's Return (%) 1.15 1.89 1.15 -0.47 Return (%) 1.65 -0.10 0.52 -0.60
6-2. (Average expected return and risk) Given the holding-period returns shown here, calculate the average returns and the standard deviations for the Renault Corporation and for the market. Myka MONTH RENAULT CORPORATION MARKET 5% 3% 2 7% 4% 3. 1% 2% 3% -2%
Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free return rate 2.464 3.360 0.090 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 16 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 2.003 2.250 0.150 11 -4.723 6.639 0.210 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.383 4.874 0.210
Consider the performance of two securities, J and K over the five year period from 2000 to 2004. The annual return earned on each one of them is as provided in the table below: Year J K % % 2000 -30.0 6.4 2001 55.9 -21.1 2002 15.7 -10.0 2003 75.9 35.0 2004 5.7 15.6 Required: Compute the following: (i) The Arithmetic Mean returns of both securities over the 5-year holding period and the Geometric Mean return of both securities over the 5-year holding period. (ii) Assuming your organization had K100 million to invest on 01st January, 2000. If this was invested equally in the two securities, what terminal value would be accumulated after 5 years with annual compounding? (ii)What level of volatility would your investments be exposed to over the holding period for each security? and Evaluate the performance of the securities individually. With hindsight, which security would you have advised management to invest…
given below are likely returns in case of shares of sun ltd and moon ltd.in the various econmic conditions. both shares are presently quoted at rs.100 per share. econmic condition probability return of sun ltd % return of moon ltd % higher growth 0.3 100 150 low growth 0.4 110 130 stagnation 0.2 120 90 recession 0.1 140 60 compute expected return and standard deviationfor both stocks and provide suggestionfor suitable investment.
Find out the 1- standard deviation 2- variance weight Investment*expected return stock weight Investment Investment Amount expected return stock stocks 0.261 1.45 75000 0.18 Alba Co. 0.0504 0.56 75000 0.09 Batelco Co. 0.0371 0.1 75000 0.371 Delmon poultry. 0.3485 225000 Total
Suppose Johnson & Johnson and the Walgreen Company have the expected returns and volatilities shown below, with a correlation of 22.2%. Johnson & Johnson Walgreen Company E [R] 7.2% 9.3% SD [R] 16.8% 20.4% For a portfolio that is equally invested in Johnson & Johnson's and Walgreen's stock, calculate: a. The expected return. b. The volatility (standard deviation). a. The expected return. The expected return of the portfolio is ☐ %. (Round to one decimal place.) b. The volatility (standard deviation). The volatility of the portfolio is %. (Round to one decimal place.)

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